開途國 外債問題: 債務不履行과 債務輕減

Jai Won Ryou(柳在元) 건국대학교 경제경영연구소 1996 商經硏究 Vol.21 No.1

A striking feature of international borrowing is the existence of sovereign risk. The deveolping-country debt crisis in the 1980s highlights the risk of default. This paper aims to clarify key issues central to the debt crisis and draw some lessons from it for coping with the debt problem. After reviewing causes and development of the debt crisis, it focuses on interrelated, but seemingly contradictory concepts : default and debt reduction. The paper proposes a two-period interemporal model under uncertainty of second-period income. The utility maximizing debtor compares the cost of default with the benefits from default. Accordingly, the default risk is assumed to depend on factors affecting the debt servicing capacity and the debt burden. A empirical study on the 16 highly indebted countries confirms that the default risk is positively related to the amount of debt and negatively to the economic growth rate. The debt reduction was adopted in the lated 1980s in order to deal with the debt crisis. It is shown that the market-based debt reduction is possible only if the debt reduces the default risk so that the expected amount of debt service increases. The following empirical study reveals that debt reduction during the debt crisis was actually concentrated on a few countries with the relatively sound debt servicing capacity. The debt burden is still too high for many developing countries, and negative external shocks may rekindle the debt crisis. For developing countries, it is prerequisite to improve the debt-servicing capacity in order to induce foreign capital. From the creditor’s viewpoint, a more effective enforcement mechanism ensuring repayment of debt is needed in order to resolve the debt problem once and for all.

베이지안 VAR 모형을 이용한 해외 실물 및 금융충격의 국내 파급효과 분석

유재원(Jai-Won Ryou),이기성(Ki-Seong Lee) 한국무역연구원 2020 무역연구 Vol.16 No.2

Purpose– This study aims to analyze the spillover effects of external real and financial shocks on the Korean economy during January 2000 and December 2019. Design/methodology/approach–Using the Bayesian VAR model, we analyze whether there were substantial changes in the effects of U.S. monetary policy and macroeconomic shocks after the global financial crisis. Findings–First, an increase in U.S. industrial production had long-term positive effects on Korea’s real and financial variables, except for Korea’s call rate. Second, the U.S. monetary policy shock measured by an increase in federal fund rate had significant negative effects on Korea’s current account balance and stock prices. Third, the Chicago Board Options Exchange (CBOE) Volatility Index (VIX) shock had a negative effect on Korea’s stock prices and the value of Korean won against the U.S. dollar. To sum it up, the spillover effects of external shocks have increased after the global financial crisis, implying that decoupling of domestic and foreign economies may be halted or reversed. Research implications or Originality– As the impact of the global financial crisis subsided and the global economy recovered, the spillover effects of external shocks on the domestic economy became also more significant. It should be noted that policy effectiveness may vary depending on interaction of internal and external economic conditions under the increasing uncertainty of the global economy.

한국의 가계저축률 하락 원인에 대한 분석

유재원(Jai-Won Ryou),유병하(Byeong-Ha Yoo) 한국경제연구학회 2014 한국경제연구 Vol.32 No.4

본고는 한국의 가계저축률 하락이 성숙경제로의 이행에 따른 자연스러운 현상인지, 아니면 1990년대 이후 노동시장의 구조적 변화와 금융 및 자산시장의 변화를 반영하는지를 분석하였다. 선행연구와 달리 국민계정의 연도별 가계저축률을 가계조사 자료의 관련 변수를 이용하여 분기별 자료로 변환하여 표본수를 확충하였다. 주요 실증분석 결과는 다음과 같다. 첫째, 경제성장률이 하락하는 가운데 가계의 처분가능소득이 더 빠르게 축소되었고, 고령화에 따른 노령인구 부양비율 증가, 연금제도 확대에 따른 가계의 연기금에 대한 지분증가 등이 가계저축률의 장기적 하락을 초래하는 데 중요한 요인으로 작용하였다. 둘째, 경제성장의 고용흡수력 저하와 같은 노동시장 변화도 중요한 역할을 한 것으로 판단된다. 즉, 해외 직접투자 증가, 정보통신기술 혁신, 기업 구조조정으로 인한 퇴직자 증가 및 노동시장의 유연성 제고 등으로 가계의 소득기반이 약화되었다. 셋째, 외환위기 이후 금융기관들의 가계대출 및 신용카드 발급 활성화로 인한 가계부채의 증가, 주택가격 상승에 따른 원리금상환 부담 증대 및 주택마련을 위한 차입 증가는 가계저축률 하락을 초래하였다. 글로벌 금융위기 이후에는 이러한 금융ㆍ자산시장 변수들이 다른 모습을 보이면서 가계저축률 반등에 기여한 것으로 보인다. 요약하면 가계저축률의 하락은 경제성장률 저하, 고령화와 사회보장제도 확대라는 장기적 요인과 함께 가계부문에 대한 소득분배를 축소시키는 구조적 요인, 그리고 금융ㆍ자산시장의 변동요인을 반영하는 것으로 추정된다. 특히, 노동시장 의 구조 변화로 인해 가계의 소득기반이 대폭 약화되었다는 점에 주목할 필요가 있을 것이다. Korea’ household saving turned to a decreasing trend in the early 1990s, and further fell after the 1997 Asian financial crisis. We seek to explain Korea’s savings trend reversal more deeply than the naive story of Korea’s transformation into a mature economy, taking into account changes in labor, financial and asset markets. Differently from the previous studies, we convert annual observations of household saving rate from the National Accounts into the quarterly series using “Household income and expenditure survey” results. Our empirical analysis on the period between 1990:Ⅰ and 2012:Ⅳ shows that slowdown of economic growth, ageing in the demographic trends, and strengthening of social security are the long-term factors contributing to the decreasing trend of the saving rate. Secondly, it is significantly affected by a decline in the employment absorption rate. Thirdly, fluctuation of the household saving rate after the 1997 crisis could be explained by easing of liquidity constraint faced by households, a sharp increase in household debt, and a rise in housing price. Reversal of trends of these factors after the global financial crisis contributed to its rebound in the 2000s. The decline in the household saving rate is a long-run trend driven by slowdown of growth, ageing, strengthening of the social security system, and shrinking of labor income share. In particular, undermining of the households’ income foundation caused by “jobless growth” needs due attention in explaining why Korea’s household saving rate remains low.

일본의 경상수지와 엔화환율간 관계분석

유재원 ( Jai Won Ryou ) 한국국제통상학회 2012 국제통상연구 Vol.17 No.3

1990년대초부터 지속되고 있는 일본의 장기침체는 경제학자들뿐 아니라 정책 담당자들에게 중요한 관심사가 되고 있다. 일본경제의 해외의존도를 고려할 때 주목할 만한 요인중의 하나는 엔화가치의 고평가이다. 그러나, 흥미롭게도 일본의 경상수지흑자는 경기침체기간중 상승세를 보여왔다. 본고는 포트폴리오 균형 접근에 기초한 구조적 벡터자기회귀모형을 이용하여 일본의 경상수지와 엔화환율 변화간의 관계를 중점적으로 분석하였다. 실증분석결과 1980년대초부터 2010년 까지의 전 기간중 환율은 경상수지에 중요한 영향을 미쳐 온 것으로 나타났다. 다만 장기침체기간에는 환율이 경상수지에 미치는 효과가 단기에 그치는 것으로 나타났다. 따라서 엔화가치의 상승에도 불구하고 일본의 경상수지가 흑자기조를 유지한 것은 우호적인 해외수요와 같은 여타 요인들의 영향이 컸다는 것을 시사한다. 한편 경상수지가 환율에 미치는 효과는 명확치 않은 것으로 나타났다. 1980년대에는 경상수지가 환율에 유의한 영향을 미치지 못하였으나, 장기침체기간에는 경상수지 흑자가 환율하락 효과를 가져오는 것으로 나타났다. 본 연구는 일본의 경상수지가 결코 환율에 반응하지 않는다는 주장은 과장되었다는 것을 보여준다. 또한 경상수지 충격이 실질소득에 유의한 영향을 미치는 것을 감안하면 엔화의 고평가가 경기진작에 걸림돌로 작용하였을 개연성이 크다고 하겠다. 일본정부가 국내경기를 진작하기 위하여 간헐적으로 외환시장개입을 추진하였다는 사실도 이와 일맥상통한다고 한다. 그러나, 자본시장이 완전히 개방된 상황에서 외환시장의 개입효과는 제한적일 수 밖에 없다. 환율상승을 통하여 경상수지 개선이 이루어졌다 하더라도, 그 효과는 일시적일 수 밖에 없는 것으로 나타나, 근본적으로 국내 소비와 투자의 활성화가 경기회복의 관건이라고 할 수 있다. 이러한 점은 장기침체에 시달리고 있는 일본경제뿐 아니라 성장률의 둔화와 실업률상승으로 고민하는 한국경제에도 중요한 교훈을 제공한다고 하겠다. The appreciation of the Japanese yen is pointed out as one of the important factors for Japan`s stagnation. However, Japan`s current account surplus has shown a increasing trend, in contrast to the worsening deficit of the U.S. This paper analyzes the relationship between Japan`s current account balance and exchange rate of the yen using a structural vector autoregressive model based on the portfolio balance approach. Our empirical analysis on the period between 1980 and 2010 shows that the yen`s exchange rate has a significant effect on current account balance. However, such an effect does not last long during the recession period (1996:I-2010:IV). Meanwhile, current account surplus appears to have appreciated the yen during the same period. These findings indicate that Japan`s increasing current account surplus may have been driven by other factors such as the favorable foreign demand. The hypothesis that Japan`s current account surplus does not response to exchange rate changes is highly exaggerated. The appreciation of the yen should have exerted a negative effect on overall economic activities. The yen depreciation may help increase exports and improve economic conditions of Japan. But, such an effect will not last long. However, the effect of intervention is limited, if any. Accordinlgy, vitalization of consumption and investment is prerequisite to coping with economic recession.

亞ㆍ太貿易自由化의 課題와 展望

Jai Won Ryou(柳在元) 건국대학교 경제경영연구소 1994 상경연구 Vol.19 No.1

With the Uruguay Round finally concluded, there is a growing demand to carefully reexamine the goal and effectiveness of the Asia-Pacific economic cooperation. In particular, regional trade liberalization in the Asia-Pacific(hereafter RTL) is expected to become a focus of debate for the APEC (Asia-Pacific Economic Cooperation) Ministerial Meeting. In the short-run, it would be difficult for APEC countries to agree to full-fledged trade liberalization because of the vast differences in their development levels and trade policy schemes. In the long-run, however, RTL will be indispensible for the promotion of regional economic integration. This paper aims to clarify key concepts central to RTL, as well as to provide a workable blueprint. It focuses on three basic issues for RTL pursuing trade liberalization complementary to the UR, building up a foundation for the vitalization of trade, and harmonizing member countries’ viewpoints towards emerging new trade issues. The paper recommends that RTL should begin with a few selected areas, i.e., direct foreign investment, standards and harmonization, surveillance of subregional trading blocs, for which efforts at policy coordination seem reltively easy to draw. The prospect for issues related to market access, such as tariff reductions, is quite different owing to the conflict of interest between advanced and developing countries in the region. In a similar context, the ratcheting up of multilateral trade liberalization is outside the scope of RTL. Another key issue pertaining to RTL concerns extending it to outsiders. There are two or three alternatives in dealing with the “most favored nation(MFN)” principle So-called “open regionalism” based on the unconditional MFN treatment of outsiders is critically weakened by the free-rider problem. In a world with protectionist economic blocs, the unilateral approach to trade liberalization may make member countries worse off. Meanwhile, the idea of forming an Asia-Pacific free trade area as advocated by the NAFTA countries is hardly acceptable by Asian developing countries, at least in the foreseeable future. Thus, the conditional MFN approach to RTL would be the only viable option. A separate regional code will be necessary for its implementation. An analysis of impact price effects and dynamic growth effects of RTL implies long-run benefits of trade liberalization on the Korean economy. If the possibility of RTL’s failure is taken into account, the overall positive effects of RTL far outweigh the negative. However, some caution is necessary in the case of rapid trade liberalization, since Korea’s current market opening is lagging far behind those of advanced countries. In sum, Korea’s policy choice should be a gradual and selective approach to RTL, placing top priority on the principle of multilateralism.

開途國 外債問題: 債務不履行과 債務輕減

Jai Won Ryou(柳在元) 건국대학교 경제경영연구소 1996 상경연구 Vol.21 No.1

A striking feature of international borrowing is the existence of sovereign risk. The deveolping-country debt crisis in the 1980s highlights the risk of default. This paper aims to clarify key issues central to the debt crisis and draw some lessons from it for coping with the debt problem. After reviewing causes and development of the debt crisis, it focuses on interrelated, but seemingly contradictory concepts : default and debt reduction. The paper proposes a two-period interemporal model under uncertainty of second-period income. The utility maximizing debtor compares the cost of default with the benefits from default. Accordingly, the default risk is assumed to depend on factors affecting the debt servicing capacity and the debt burden. A empirical study on the 16 highly indebted countries confirms that the default risk is positively related to the amount of debt and negatively to the economic growth rate. The debt reduction was adopted in the lated 1980s in order to deal with the debt crisis. It is shown that the market-based debt reduction is possible only if the debt reduces the default risk so that the expected amount of debt service increases. The following empirical study reveals that debt reduction during the debt crisis was actually concentrated on a few countries with the relatively sound debt servicing capacity. The debt burden is still too high for many developing countries, and negative external shocks may rekindle the debt crisis. For developing countries, it is prerequisite to improve the debt-servicing capacity in order to induce foreign capital. From the creditor’s viewpoint, a more effective enforcement mechanism ensuring repayment of debt is needed in order to resolve the debt problem once and for all.

글로벌 금융위기 이후 한국과 일본의 경상수지 결정요인

유재원(Jai-Won Ryou):이기성(Ki-Seong Lee) 한국무역연구원 2017 무역연구 Vol.13 No.5

This paper analyzes how the determinants of the current account balance in Korea and Japan have changed after the global financial crisis, specifically from the focal point of exchange rates. Using a structural vector autoregressive model, we compare the two sample periods, 2000:01-2009:06 and 2009:07-2016:12. Our analysis shows that the responses of current account to structural shocks in both countries were similar before the crisis, but considerably changed since then. The global import volume and the price of crude oil continue to play significant roles in determining the current account balance in Korea and Japan. However, the influence of real exchange rate, of its own as well as of the counterpart, significantly decreased since the global financial crisis. The industrial production shock appears to have a positive impact on the current account, implying that the recent current account surplus would be a mirror image of the economic recession. Interestingly, it is unclear whether the current account surplus results in depreciation of its own currency. Exchange rates appear to be sensitive to capital flow rather than to the current account balance. To cope with economic crisis, many countries are lured to adopt the protectionist measures. An excessive current account surplus is highly likely to spill into trade friction. Therefore, policymakers should pay more attention towards achieving internal balance of growth and employment, and to stabilizing exchange rate fluctuation through prevention of abrupt changes in capital flows.

아시아 통화위기와 지역통화제도의 모색

유재원(Jai Won Ryou),김태준(Tae Joon Kim) 한국국제통상학회 1999 국제통상연구 Vol.4 No.2

The Asian currency crisis rekindled interest in the consorted efforts for stabilizing exchange rates among Asian currencies and coping with the possible shortage of international liquidity in the region. With most of external transactions denominated in the U.S. dollar, a sudden change in supply of and/or demand for dollars may have a serious impact on the international liquidity position of the region as a whole. At the same time, under the situation that the exchange rates of regional currencies are de facto pegged to the U.S. dollar, the fluctuation of exchange rate of the dollar against the other major currencies, i.e. the Japanese yen or the German mark, may destabilize foreign transactions of the Asian countries. In fact, the volatility of exchange rate of the Asian currencies against the Japanese yen has been one of the major reasons for economic instability in the region. Therefore, it seems to be logical to insist that Asian countries should lower their dependency on the dollar in external transactions and set up an institutional mechanism such as the jointly tloating exchange nete regime to stabilize exchange rates among their currencies and particularly against the yen. This paper aims to evaluate the possibility that the formation of the yen-bloc in Asia can be a viable option for deterring recurrences of the crisis. For this purpose, we try to quantify the possibility of participating in an optimum currency area by estimating the weigth assigned to each of three key currencies (the dollar, the yen, and the mark) included in the basket currency peg. Then we apply an optimum currency area model, which explains that possibility of joining a currency bloc by using explanatory variables such as asymmetry of shocks, trade interdependency, and the size of concerned economies. The major finding of this paper may be summarized as follows: Asia is not an optimum currency area. The economic fundamentals of Asia are radically different from those of Europe. Meanwhile, the currency crisis which forced the Asian countries to give up their dollar peg system and increased the need for autonomy of monetary policy for stabilization will work as a deterrent to joining a currency bloc. If the currency crisis is over, however, the basket currency peg may emerge as an alternative to both single currency peg and the flexible exchange rate regime. In that case, the weight of the yen needs to be adjusted to a higher level, while the opposite is true for the U.S. dollar.

신흥시장국의 환율제도 선택 - 쟁점 및 과제

유재원(Jai Won Ryou),김태준(Tae Joon Kim) 한국국제통상학회 2002 국제통상연구 Vol.7 No.1

An important lesson from the recent episodes of currency crises is that it is impossible to pursue free capital flow, fixed exchange rate, and autonomy of economic policy at the same time. Hence, the emerging market economies are faced with a difficult choice between a hard peg and clean floating. The trend for polarization of exchange rate regimes provides only a vague clue to the right answer. This paper surveys recent literatures to clarity criteria and tasks for choosing an appropriate exchange rate regime in emerging market economies. The major findings of this paper can be summarized as follows. First, many cases of intermediate exchange rate regimes are observable in emerging market economies, making it difficult to accept the so-called polarization hypothesis. Second, in the case of fixed exchange rate regimes, regional monetary cooperation is needed in order to secure its credibility. Third, emerging markets with flexible exchange rate regimes should sustain a reasonable level of foreign exchange reserves and adopt the inflation rate target in order to stabilize exchange rates. Fourth, effectiveness of capital control in coping with a currency crisis is doubtful. Several important questions remain unanswered It should be made clear how much flexibility is optimal in the case of the managed floating regime. More empirical research is needed to draw a desirable rule for foreign market intervention in emerging market economies. Finally, the choice of exchange rate regime is crucially dependent on the characteristics of the economy and the nature of shocks. Accordingly, it requires supplementary policy measures, proper institutional environment, and prudential regulation of the financial system.

금융환경변화와 기업금융

유재원 ( Jai Won Ryou ),김태준 ( Tae Joon Kim ) 한국국제경제학회 2006 국제경제연구 Vol.12 No.2